This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Theoretical justifications for averaging across models, as opposed to selecting a single model, are given. Practical methods for implementing Bayesian model averaging with factor models...

This paper motivates and develops a nonlinear extension of the Vector Autoregressive model which we call the Vector Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context of an application involving U.S. macroeconomic data. In...